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Infinite-Horizon Mean-Field Linear-Quadratic Stochastic Control with Regime Switching

An infinite-horizon stochastic linear-quadratic optimal control problem for mean-field SDEs whose coefficients switch under a finite-state Markov chain. Via an orthogonal decomposition it derives algebraic Riccati equations and an infinite-horizon system of backward SDEs with Markov-dependent coefficients, whose solvability yields the closed-loop optimal strategy and characterizes open-loop solvability.

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Linear-Quadratic Optimal Control for Mean-Field Stochastic Diﬀerential Equations in Inﬁnite-Horizon

This paper solves an infinite-horizon stochastic linear-quadratic (LQ) optimal control problem for mean-field stochastic differential equations whose coefficients switch with a finite-state Markov ch…